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<div class="title">FRA.cpp</div> </div>
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<p>This example values a forward-rate agreement (FRA) at different forward dates under two yield curve assumptions. It thereby illustrates how set up a term structure, and to use it to price a simple forward-rate agreement.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/* This example shows how to set up a term structure and price a simple</span></div>
<div class="line"><span class="comment"> forward-rate agreement.</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/instruments/forwardrateagreement.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/piecewiseyieldcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/ratehelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/euribor.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actualactual.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span>std;</div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** MARKET DATA ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> euriborTermStructure;</div>
<div class="line"> ext::shared_ptr<IborIndex> euribor3m(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_euribor3_m.html" title="3-months Euribor index">Euribor3M</a>(euriborTermStructure));</div>
<div class="line"> </div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(23, May, 2006);</div>
<div class="line"> Settings::instance().evaluationDate() = todaysDate;</div>
<div class="line"> </div>
<div class="line"> <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = euribor3m->fixingCalendar();</div>
<div class="line"> <a name="a4"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> fixingDays = euribor3m->fixingDays();</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate = calendar.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(todaysDate, fixingDays, Days);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a6"></a>weekday()</div>
<div class="line"> << <span class="stringliteral">", "</span> << todaysDate << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.weekday()</div>
<div class="line"> << <span class="stringliteral">", "</span> << settlementDate << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// 3 month term FRA quotes (index refers to monthsToStart)</span></div>
<div class="line"> <a name="a7"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> threeMonthFraQuote[10];</div>
<div class="line"> </div>
<div class="line"> threeMonthFraQuote[1]=0.030;</div>
<div class="line"> threeMonthFraQuote[2]=0.031;</div>
<div class="line"> threeMonthFraQuote[3]=0.032;</div>
<div class="line"> threeMonthFraQuote[6]=0.033;</div>
<div class="line"> threeMonthFraQuote[9]=0.034;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /********************</span></div>
<div class="line"><span class="comment"> *** QUOTES ***</span></div>
<div class="line"><span class="comment"> ********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// SimpleQuote stores a value which can be manually changed;</span></div>
<div class="line"> <span class="comment">// other Quote subclasses could read the value from a database</span></div>
<div class="line"> <span class="comment">// or some kind of data feed.</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// FRAs</span></div>
<div class="line"> ext::shared_ptr<SimpleQuote> fra1x4Rate(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[1]));</div>
<div class="line"> ext::shared_ptr<SimpleQuote> fra2x5Rate(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[2]));</div>
<div class="line"> ext::shared_ptr<SimpleQuote> fra3x6Rate(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[3]));</div>
<div class="line"> ext::shared_ptr<SimpleQuote> fra6x9Rate(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[6]));</div>
<div class="line"> ext::shared_ptr<SimpleQuote> fra9x12Rate(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[9]));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h1x4; h1x4.<a name="a9"></a>linkTo(fra1x4Rate);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h2x5; h2x5.linkTo(fra2x5Rate);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h3x6; h3x6.linkTo(fra3x6Rate);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h6x9; h6x9.linkTo(fra6x9Rate);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h9x12; h9x12.linkTo(fra9x12Rate);</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** RATE HELPERS ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// RateHelpers are built from the above quotes together with</span></div>
<div class="line"> <span class="comment">// other instrument dependant infos. Quotes are passed in</span></div>
<div class="line"> <span class="comment">// relinkable handles which could be relinked to some other</span></div>
<div class="line"> <span class="comment">// data source later.</span></div>
<div class="line"> </div>
<div class="line"> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fraDayCounter = euribor3m->dayCounter();</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> convention = euribor3m->businessDayConvention();</div>
<div class="line"> <span class="keywordtype">bool</span> endOfMonth = euribor3m->endOfMonth();</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> fra1x4(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h1x4, 1, 4,</div>
<div class="line"> fixingDays, calendar, convention,</div>
<div class="line"> endOfMonth, fraDayCounter));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> fra2x5(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h2x5, 2, 5,</div>
<div class="line"> fixingDays, calendar, convention,</div>
<div class="line"> endOfMonth, fraDayCounter));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> fra3x6(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h3x6, 3, 6,</div>
<div class="line"> fixingDays, calendar, convention,</div>
<div class="line"> endOfMonth, fraDayCounter));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> fra6x9(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h6x9, 6, 9,</div>
<div class="line"> fixingDays, calendar, convention,</div>
<div class="line"> endOfMonth, fraDayCounter));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> fra9x12(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h9x12, 9, 12,</div>
<div class="line"> fixingDays, calendar, convention,</div>
<div class="line"> endOfMonth, fraDayCounter));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> ** CURVE BUILDING **</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Any DayCounter would be fine.</span></div>
<div class="line"> <span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> termStructureDayCounter =</div>
<div class="line"> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// A FRA curve</span></div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > fraInstruments;</div>
<div class="line"> </div>
<div class="line"> fraInstruments.push_back(fra1x4);</div>
<div class="line"> fraInstruments.push_back(fra2x5);</div>
<div class="line"> fraInstruments.push_back(fra3x6);</div>
<div class="line"> fraInstruments.push_back(fra6x9);</div>
<div class="line"> fraInstruments.push_back(fra9x12);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<YieldTermStructure> fraTermStructure(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(</div>
<div class="line"> settlementDate, fraInstruments,</div>
<div class="line"> termStructureDayCounter));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Term structures used for pricing/discounting</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> discountingTermStructure;</div>
<div class="line"> discountingTermStructure.<a name="a14"></a>linkTo(fraTermStructure);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /***********************</span></div>
<div class="line"><span class="comment"> *** construct FRA's ***</span></div>
<div class="line"><span class="comment"> ***********************/</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> fraCalendar = euribor3m->fixingCalendar();</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> fraBusinessDayConvention =</div>
<div class="line"> euribor3m->businessDayConvention();</div>
<div class="line"> Position::Type fraFwdType = Position::Long;</div>
<div class="line"> <a name="a15"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fraNotional = 100.0;</div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> FraTermMonths = 3;</div>
<div class="line"> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> monthsToStart[] = { 1, 2, 3, 6, 9 };</div>
<div class="line"> </div>
<div class="line"> euriborTermStructure.linkTo(fraTermStructure);</div>
<div class="line"> </div>
<div class="line"> cout << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Test FRA construction, NPV calculation, and FRA purchase"</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i;</div>
<div class="line"> <span class="keywordflow">for</span> (i=0; i<LENGTH(monthsToStart); i++) {</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraValueDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(</div>
<div class="line"> settlementDate,monthsToStart[i],Months,</div>
<div class="line"> fraBusinessDayConvention);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraMaturityDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(</div>
<div class="line"> fraValueDate,FraTermMonths,Months,</div>
<div class="line"> fraBusinessDayConvention);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fraStrikeRate = threeMonthFraQuote[monthsToStart[i]];</div>
<div class="line"> </div>
<div class="line"> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_forward_rate_agreement.html" title="Forward rate agreement (FRA) class">ForwardRateAgreement</a> myFRA(fraValueDate, fraMaturityDate,</div>
<div class="line"> fraFwdType,fraStrikeRate,</div>
<div class="line"> fraNotional, euribor3m,</div>
<div class="line"> discountingTermStructure);</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"3m Term FRA, Months to Start: "</span></div>
<div class="line"> << monthsToStart[i]</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"strike FRA rate: "</span></div>
<div class="line"> << <a name="a17"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fraStrikeRate)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA 3m forward rate: "</span></div>
<div class="line"> << myFRA.forwardRate()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA market quote: "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(threeMonthFraQuote[monthsToStart[i]])</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA spot value: "</span></div>
<div class="line"> << myFRA.spotValue()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA forward value: "</span></div>
<div class="line"> << myFRA.forwardValue()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA implied Yield: "</span></div>
<div class="line"> << myFRA.impliedYield(myFRA.spotValue(),</div>
<div class="line"> myFRA.forwardValue(),</div>
<div class="line"> settlementDate,</div>
<div class="line"> Simple,</div>
<div class="line"> fraDayCounter)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"market Zero Rate: "</span></div>
<div class="line"> << discountingTermStructure->zeroRate(fraMaturityDate,</div>
<div class="line"> fraDayCounter,</div>
<div class="line"> Simple)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA NPV [should be zero]: "</span></div>
<div class="line"> << myFRA.NPV()</div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> cout << endl << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Now take a 100 basis-point upward shift in FRA quotes "</span></div>
<div class="line"> << <span class="stringliteral">"and examine NPV"</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> BpsShift = 0.01;</div>
<div class="line"> </div>
<div class="line"> threeMonthFraQuote[1]=0.030+BpsShift;</div>
<div class="line"> threeMonthFraQuote[2]=0.031+BpsShift;</div>
<div class="line"> threeMonthFraQuote[3]=0.032+BpsShift;</div>
<div class="line"> threeMonthFraQuote[6]=0.033+BpsShift;</div>
<div class="line"> threeMonthFraQuote[9]=0.034+BpsShift;</div>
<div class="line"> </div>
<div class="line"> fra1x4Rate->setValue(threeMonthFraQuote[1]);</div>
<div class="line"> fra2x5Rate->setValue(threeMonthFraQuote[2]);</div>
<div class="line"> fra3x6Rate->setValue(threeMonthFraQuote[3]);</div>
<div class="line"> fra6x9Rate->setValue(threeMonthFraQuote[6]);</div>
<div class="line"> fra9x12Rate->setValue(threeMonthFraQuote[9]);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">for</span> (i=0; i<LENGTH(monthsToStart); i++) {</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraValueDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(</div>
<div class="line"> settlementDate,monthsToStart[i],Months,</div>
<div class="line"> fraBusinessDayConvention);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraMaturityDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(</div>
<div class="line"> fraValueDate,FraTermMonths,Months,</div>
<div class="line"> fraBusinessDayConvention);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fraStrikeRate =</div>
<div class="line"> threeMonthFraQuote[monthsToStart[i]] - BpsShift;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_forward_rate_agreement.html" title="Forward rate agreement (FRA) class">ForwardRateAgreement</a> myFRA(fraValueDate, fraMaturityDate,</div>
<div class="line"> fraFwdType, fraStrikeRate,</div>
<div class="line"> fraNotional, euribor3m,</div>
<div class="line"> discountingTermStructure);</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"3m Term FRA, 100 notional, Months to Start = "</span></div>
<div class="line"> << monthsToStart[i]</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"strike FRA rate: "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fraStrikeRate)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA 3m forward rate: "</span></div>
<div class="line"> << myFRA.forwardRate()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA market quote: "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(threeMonthFraQuote[monthsToStart[i]])</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA spot value: "</span></div>
<div class="line"> << myFRA.spotValue()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA forward value: "</span></div>
<div class="line"> << myFRA.forwardValue()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA implied Yield: "</span></div>
<div class="line"> << myFRA.impliedYield(myFRA.spotValue(),</div>
<div class="line"> myFRA.forwardValue(),</div>
<div class="line"> settlementDate,</div>
<div class="line"> Simple,</div>
<div class="line"> fraDayCounter)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"market Zero Rate: "</span></div>
<div class="line"> << discountingTermStructure->zeroRate(fraMaturityDate,</div>
<div class="line"> fraDayCounter,</div>
<div class="line"> Simple)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"FRA NPV [should be positive]: "</span></div>
<div class="line"> << myFRA.NPV()</div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> </div>
<div class="line"> } <span class="keywordflow">catch</span> (exception& e) {</div>
<div class="line"> cerr << e.what() << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> cerr << <span class="stringliteral">"unknown error"</span> << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
<div class="line"> </div>
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